A new empty script may be added to the Scripts branch. From the Scripts branch context menu in the workspace tree, select Create Script….

This will bring up the Create Script dialog:

Input field descriptions:
Script Name: Enter a name for the Python script file (*.py).
Type: Select the script type (the default, and only selection is Python).
Path: Select a folder for the new script file.
When the Ok button is pressed, a new script file will appear in the workspace Scripts branch. Double click this branch to view the file contents of the new file in the Scripts pane. Note that the file will be auto-filled with some required Python code to get you started.
See Application Automation for more details.